Joint weak hazard rate order under non-symmetric copulas

Franco Pellerey; Fabio Spizzichino

Dependence Modeling (2016)

  • Volume: 4, Issue: 1, page 190-204, electronic only
  • ISSN: 2300-2298

Abstract

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A weak version of the joint hazard rate order, useful to stochastically compare not independent random variables, has been recently defined and studied in [4]. In the present paper, further results on this order are proved and discussed. In particular, some statements dealing with the relationships between the jointweak hazard rate order and other stochastic orders are generalized to the case of non symmetric copulas, and its relations with some multivariate aging notions (studied in [2]) are presented. For this purpose, the new notions of Generalized Supermigrative and Generalized Submigrative copulas are defined. Other new results, examples and discussions are provided as well.

How to cite

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Franco Pellerey, and Fabio Spizzichino. "Joint weak hazard rate order under non-symmetric copulas." Dependence Modeling 4.1 (2016): 190-204, electronic only. <http://eudml.org/doc/287055>.

@article{FrancoPellerey2016,
abstract = {A weak version of the joint hazard rate order, useful to stochastically compare not independent random variables, has been recently defined and studied in [4]. In the present paper, further results on this order are proved and discussed. In particular, some statements dealing with the relationships between the jointweak hazard rate order and other stochastic orders are generalized to the case of non symmetric copulas, and its relations with some multivariate aging notions (studied in [2]) are presented. For this purpose, the new notions of Generalized Supermigrative and Generalized Submigrative copulas are defined. Other new results, examples and discussions are provided as well.},
author = {Franco Pellerey, Fabio Spizzichino},
journal = {Dependence Modeling},
keywords = {stochastic orders; copulas; dependence notions; generalized supermigrativity},
language = {eng},
number = {1},
pages = {190-204, electronic only},
title = {Joint weak hazard rate order under non-symmetric copulas},
url = {http://eudml.org/doc/287055},
volume = {4},
year = {2016},
}

TY - JOUR
AU - Franco Pellerey
AU - Fabio Spizzichino
TI - Joint weak hazard rate order under non-symmetric copulas
JO - Dependence Modeling
PY - 2016
VL - 4
IS - 1
SP - 190
EP - 204, electronic only
AB - A weak version of the joint hazard rate order, useful to stochastically compare not independent random variables, has been recently defined and studied in [4]. In the present paper, further results on this order are proved and discussed. In particular, some statements dealing with the relationships between the jointweak hazard rate order and other stochastic orders are generalized to the case of non symmetric copulas, and its relations with some multivariate aging notions (studied in [2]) are presented. For this purpose, the new notions of Generalized Supermigrative and Generalized Submigrative copulas are defined. Other new results, examples and discussions are provided as well.
LA - eng
KW - stochastic orders; copulas; dependence notions; generalized supermigrativity
UR - http://eudml.org/doc/287055
ER -

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